A-Share Screen Using Turnover, the 10-Day Average, and Opening Gap

Summary

This A-share stock screen combines three conditions: turnover between 3% and 12%, an opening price within 5% of the 10-day moving average, and an indicated opening gain below 6%. The document presents the rules as a way to identify active stocks whose opening prices remain near a recent trend reference. It includes formula and Python examples intended to implement the filters, though the examples do not establish that the conditions produce profitable trades.

The stated caveats are that early-session price signals can be affected by market behavior and that the screen omits company fundamentals. The author suggests considering valuation measures and additional early-session data, such as volume and relative volume, as possible refinements. No performance results, test period, transaction costs, or execution rules are provided, so the screen should be treated as a selection heuristic rather than a validated strategy. The code examples also depend on external market data and platform-specific conventions.

Key ideas

• The screen requires turnover between 3% and 12%.
• The opening price must be within 5% of the 10-day moving average.
• The indicated gain at 9:25 must be below 6%.
• The document warns that the screen omits fundamentals and may be affected by early-session market conditions.
• No backtest or performance evidence is supplied.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.